ar X iv : c on d - m at / 0 10 83 94 v 1 2 4 A ug 2 00 1 Multi - fractal nature of stock exchange prices
نویسنده
چکیده
The multifractal structure of the temporal dependence of the Deutsche Aktienindex (DAX) is analyzed. The q-th order moments of the structure functions and the singular measures are calculated. The generalized Hurst exponent H(q) and the h(γ(q)) curve indicate a hierarchy of power law exponents. This approach leads to characterizing the nonstationarity and intermittency pertinent to such financial signals, indicating differences with turbulence data. A list of results on turbulence and financial markets is presented for asserting the analogy.
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